So, my friend cosplayed a white haired character once, applied some foundation, and next thing you know the white wig isn't so white anymore.

Now its my turn to cosplay a silver haired character, and for once I'm going to use foundation/concealer, so I'm curious. What's the best way of preventing the makeup from getting on the wig? If there even is a way?

Take a 2-ply tissue, separate the layers. After you've applied your makeup, take a layer of tissue and carefully blot your face. Don't wipe, just blot. This should eliminate some of the excess oil but leave the pigment. Then set your face with powder. Your makeup shouldn't transfer after this.